非齐次风险模型的Lundberg型不等式
Lundberg-type inequalities for non-homogeneous risk models
摘要：
本文研究了非齐次风险模型的破产概率。利用鞅方法，在较弱的假设条件下，得到了非齐次更新风险模型破产概率的Lundberg型不等式。此外，对于周期和拟周期风险模型，得到了Lundberg型不等式的调整系数。最后，通过算例说明本文所得到的估计是比较精确的，并且在非齐次风险模型中破产概率可能是快速下降的，而在齐次风险模型中这是不可能的.
英文摘要：
In this paper, we investigate the ruin probabilities of non-homogeneous risk models. By employing martingale method, the Lundberg-type inequalities of ruin probabilities of non-homogeneous renewal risk models are obtained under weak assumptions. In addition, for the periodic and quasi-periodic risk models the adjustment coefficients of the Lundberg-type inequalities are obtained. Finally, examples are presented to show that estimations obtained in this paper are more accurate and the ruin probability in non-homogeneous risk models may be fast decreasing which is impossible for the case of homogeneity.
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